After Yale, he spent two years at Columbia Law School, but he never finished the course and decided to enter the world of sports and business.

Whitney also served on the board of directors of the Long Island Motor Parkway, built by his wife's cousin, William Kissam Vanderbilt II.

[1] Whitney enjoyed quail hunting and purchased the 14,000-acre (57 km2) Foshalee Plantation in northern Leon County, Florida, from Sydney E. Hutchinson of Philadelphia, Pennsylvania.

[9] Harry Whitney inherited a large stable from his father including the great filly Artful and her sire Hamburg, and in 1915 established a horse breeding farm in Lexington, Kentucky where he developed the American polo pony by breeding American Quarter Horse stallions with his thoroughbred mares.

His Kentucky-bred horse Whisk Broom II (sired by Broomstick) raced in England, then at age six came back to the U.S. where he won the New York Handicap Triple.

Whitney had nineteen horses who ran in the Kentucky Derby, winning it the first time in 1915 with another Broomstick foal, Regret, the first filly ever to capture the race.

Whitney financed the Whitney South Seas Expedition of the American Museum of Natural History, Rollo Beck's major zoological expedition that sent teams of scientists and naturalists to undertake botanical research and to study the bird population of several thousand islands in the Pacific Ocean.